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Learning in the Oil Futures Markets: Evidence and Macroeconomic Implications

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  • Sylvain Leduc
  • Kevin Moran
  • Robert J. Vigfusson

Abstract

We show that a model where investors learn about the persistence of oil-price movements accounts well for the fluctuations in oil-price futures since the late 1990s. Using a DSGE model, we then show that this learning process alters the impact of oil shocks, making it time-dependent and consistent with the muted impact oil-price changes had on macroeconomic outcomes during the early 2000s and again over the past two years. The Spring 2008 increase in oil prices had a larger impact because market participants considered that it was likely driven by permanent shocks.

Suggested Citation

  • Sylvain Leduc & Kevin Moran & Robert J. Vigfusson, 2016. "Learning in the Oil Futures Markets: Evidence and Macroeconomic Implications," CIRANO Working Papers 2016s-53, CIRANO.
  • Handle: RePEc:cir:cirwor:2016s-53
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    References listed on IDEAS

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    Cited by:

    1. Fernández, Andrés & González, Andrés & Rodríguez, Diego, 2018. "Sharing a ride on the commodities roller coaster: Common factors in business cycles of emerging economies," Journal of International Economics, Elsevier, vol. 111(C), pages 99-121.
    2. Fédéric Holm-Hadulla & Kirstin Hubrich, 2017. "Macroeconomic Implications of Oil Price Fluctuations : A Regime-Switching Framework for the Euro Area," Finance and Economics Discussion Series 2017-063, Board of Governors of the Federal Reserve System (U.S.).
    3. Deepa D. Datta & Benjamin K. Johannsen & Hannah Kwon & Robert J. Vigfusson, 2021. "Oil, Equities, and the Zero Lower Bound," American Economic Journal: Macroeconomics, American Economic Association, vol. 13(2), pages 214-253, April.
    4. Moran, Kevin & Nono, Simplice Aimé, 2018. "Gradual learning about shocks and the forward premium puzzle," Journal of International Money and Finance, Elsevier, vol. 88(C), pages 79-100.
    5. Gambetti, Luca & Moretti, Laura, 2017. "News, Noise and Oil Price Swings," Research Technical Papers 12/RT/17, Central Bank of Ireland.

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    More about this item

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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